1. Regulator-Based Risk Statistics with Scenario Analysis
- Author
-
Xiaochuan Deng and Fei Sun
- Subjects
050208 finance ,021103 operations research ,Article Subject ,Computer science ,General Mathematics ,05 social sciences ,Probability (math.PR) ,0211 other engineering and technologies ,General Engineering ,Regulator ,02 engineering and technology ,Engineering (General). Civil engineering (General) ,Dual (category theory) ,FOS: Economics and business ,Risk Management (q-fin.RM) ,0502 economics and business ,Statistics ,FOS: Mathematics ,QA1-939 ,Scenario analysis ,TA1-2040 ,Mathematics - Probability ,Mathematics ,Quantitative Finance - Risk Management - Abstract
As regulators pay more attentions to losses rather than gains, we are able to derive a new class of risk statistics, named regulator-based risk statistics with scenario analysis in this paper. This new class of risk statistics can be considered as a kind of risk extension of risk statistics introduced by Kou et al. \cite{11}, and also data-based versions of loss-based risk measures introduced by Cont et al. \cite{5} and Sun et al. \cite{12}.
- Published
- 2021